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Concept
Hurst exponent
Résumé
The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. Studies involving the Hurst exponent were originally developed in hydrology for the practical matter of determining optimum dam sizing for the Nile river's volatile rain and drought conditions that had been observed over a long period of time. The name "Hurst exponent", or "Hurst coefficient", derives from Harold Edwin Hurst (1880–1978), who was the lead researcher in these studies; the use of the standard notation H for the coefficient also relates to his name.
In fractal geometry, the generalized Hurst exponent has been denoted by H or Hq in honor of both Harold Edwin Hurst and Ludwig Otto Hölder (1859–1937) by Benoît Mandelbrot (1924–2010). H is directly related to fractal dimension, D, and is a measure of a data series' "mild" or "wild" randomness.
The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series either to regress strongly to the mean or to cluster in a direction. A value H in the range 0.5–1 indicates a time series with long-term positive autocorrelation, meaning that the decay in autocorrelation is slower than exponential, following a power law; for the series it means that a high value tends to be followed by another high value and that future excursions to more high values do occur. A value in the range 0 – 0.5 indicates a time series with long-term switching between high and low values in adjacent pairs, meaning that a single high value will probably be followed by a low value and that the value after that will tend to be high, with this tendency to switch between high and low values lasting a long time into the future, also following a power law. A value of H=0.5 indicates short-memory, with (absolute) autocorrelations decaying exponentially quickly to zero.
Source officielle
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